This paper analyzes deforestation in areas of overlapping land tenure in the northern Ecuadorian Amazon. We use a random coefficients model to test for differences in forest cover across tenure forms over time. Tenure categories are significantly associated with changes in deforestation, even...

The Expected Discounted Penalty Function (EDPF) was introduced in a series of now classical papers ([9], [11] and [12]). Motivated by applications in option pricing and risk management, and inspired by recent developments in fluctuation theory for Lévy processes, we study an extended definition...

A new insurance provider or a regulatory agency may be interested in determining a risk measure consistent with observed market prices of a collection of risks. Using a relationship between distorted coherent risk measures and spectral risk measures, we provide a method for reconstructing...

The paper proposes a simple estimator for a class of Conditional Expected Shortfall risk measures. The estimator is semiparametric, in the sense that it does not require a full specification of the conditional distribution of the data, and it is very simple to compute, being a least squares...

In Gzyl and Mayoral (2008) we developed a technique to solve the following type of problems: How to determine a risk aversion function equivalent to pricing a risk with a load, or equivalent to pricing different risks by means of the same risk distortion function. The information on which the...

The minimization of general risk functions is becoming more and more important in portfolio choice theory and optimal hedging. There are two major reasons. Firstly, heavy tails and the lack of symmetry in the returns of many assets provokes that the classical optimization of the standard...

We consider the problem of recovering the risk-neutral probability distribution of the price of an asset, when the information available consists of the market price of derivatives of European type having the asset as underlying. The information available may or may not include the spot value of...